Choice of bandwidth for kernel regression when residuals are correlated
From MaRDI portal
Publication:4037729
DOI10.1093/biomet/79.4.783zbMath0765.62044MaRDI QIDQ4037729
Alois Kneip, Theo Gasser, Eva Herrmann
Publication date: 16 May 1993
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/79.4.783
bandwidth selection; kernel estimator; nonparametric regression; correlated errors; plug-in bandwidth selector; correlated residuals; residual covariance function; stationary error variables
Related Items
Some automated methods of smoothing time-dependent data, Local linear extrapolation, DENSITY ESTIMATION FOR CLUSTERED DATA, LOCAL POLYNOMIAL REGRESSION ESTIMATION WITH CORRELATED ERRORS, Testing in partial linear regression models with dependent errors, A plug-in technique in nonparametric regression with dependence, Change-Point Estimation in Long Memory Nonparametric Models with Applications, Nonparametric trend estimation in replicated time series, Sieve bootstrap for smoothing in nonstationary time series, On parameter estimation for locally stationary long-memory processes, Using bimodal kernel for inference in nonparametric regression with correlated errors, Smoothing non-Gaussian time series with autoregressive structure., Asymptotic normality of nonparametric estimators under \(\alpha\)-mixing condition, SEMIFAR forecasts, with applications to foreign exchange rates., Near optimal weights in nonparametric regression under some common restrictions, Testing linear regression models using non-parametric regression estimators when errors are non-independent, Comparison of bandwidth selectors in nonparametric regression under dependence, Nonparametric regression with correlated errors., SEMIFAR models -- a semiparametric approach to modelling trends, long-range dependence and nonstationarity, On bandwidth selection in partial linear regression models under dependence, Bootstrap of minimum distance estimators in regression with correlated disturbances, Asymptotic properties in partial linear models under dependence, Plug-in bandwidth choice for estimation of nonparametric part in partial linear regression models with strong mixing errors, Nonparametric regression under dependent errors with infinite variance, On bandwidth choice in nonparametric regression with both short- and long-range dependent errors, Bootstrap test of goodness of fit to a linear model when errors are correlated, An iterative bandwidth selector for kernel estimation of densities and their derivatives, SEMI‐PARAMETRIC ANALYSIS OF COVARIANCE UNDER DEPENDENCE CONDITIONS WITHIN EACH GROUP
